I want to draw an analogy with fever. Fever is a "rational" (that is, both effective, and intended) response of the body to infection. The body raises the set point of its thermostat, because the invading bugs are less able to survive the elevated temperature than the organism that they are trying to invade.

But you can still die of a fever.

However, what I have read of depression (of which I have no personal experience) suggests that if their "ecological" hypothesis is true, clinical depression is analogous not to fever in general, but to the end stages of a failed fever defence -- not simply an adaptive response to stress, but the defeat of that response by the magnitude of the stress, and the collateral damage.